It's like the PIN on your bank card. Without it nobody can use your card, same goes for the laptop. I prefer using a BIOS password to a Windows one, that way it prompts you immediately on start-up. Basically it's just a password preventing access to the system. This isn't necessarily just to stop thieves using your computer after they've stolen it, it's also to stop friends and family looking at your private data! Once set, when you switch your laptop on it will ask you for the system password. Once entered correctly your operating system will load as normal.
